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Data Analysis papers — page 120

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Long-range dependence in Interest Rates and Monetary Policy
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the…
Daniel O. Cajueiro, Benjamin M. TabakJul 26, 2006
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Non-Parametric Extraction of Implied Asset Price Distributions
Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND…
Jerome V. Healy, Maurice Dixon, Brian J. Read et al.Jul 26, 2006
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A method for extracting the scaling exponents of a self-affine, non-Gaussian process from a finite length timeseries
We address the generic problem of extracting the scaling exponents of a stationary, self-affine process realised by a timeseries of finite length, where information about the process is not known a…
K. Kiyani, S. C. Chapman, B. HnatJul 26, 2006
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Isotropy Properties of the Multi-Step Markov Symbolic Sequences
A new object of the probability theory, the two-sided chain of symbols (introduced in Ref. arXiv:physics/0306170) is used to study isotropy properties of binary multi-step Markov chains with the…
S. S. Apostolov, Z. A. Mayzelis, O. V. Usatenko et al.Jul 25, 2006
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Self-organization behavior in a constrained minority game
In the standard minority game, every agent switches to his best strategy in hand at each time step. If only a small number of agents are allowed to switch their strategies at each time step, the…
C. Liu, S. S. LiawJul 24, 2006
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Effective memory of the minority game
It is known that the memory is relevant in the symmetric phase of the minority game. In our previous work we have successfully explained the quasi-periodic behavior of the game in the symmetric phase…
C. H. Hung, S. S. LiawJul 24, 2006
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Long-term memory in the Irish market (ISEQ): evidence from wavelet analysis
Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this paper, three different…
Adel Sharkasi, Heather J. Ruskin, Martin CraneJul 20, 2006
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Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models
In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four…
Anna PajorJul 19, 2006
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A simple model of reactor cores for reactor neutrino flux calculations for the KamLAND experiment
KamLAND is a reactor neutrino oscillation experiment with a very long baseline. This experiment successfully measured oscillation phenomena of reactor antineutrinos coming mainly from 53 reactors in…
K. Nakajima, K. Inoue, K. Owada et al.Jul 13, 2006
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Delayed information flow effect in economy systems. An ACP model study
Applying any strategy requires some knowledge about the past state of the system. Unfortunately in the case of economy collecting information is a difficult, expensive and time consuming process.…
Janusz Miskiewicz, Marcel AusloosJul 12, 2006
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Trend arbitrage, bid-ask spread and market dynamics
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The…
Nikolai ZaitsevJul 10, 2006
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1/f noise from the coincidences of similar single-sided random telegraph signals
In this paper it is demonstrated that 1/f power spectrum appears in the process originated by the superposition of many single-sided random telegraph signals (RTS or RTN) with the same amplitude,…
Giovanni ZanellaJul 5, 2006
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Fast Computation of Voigt Functions via Fourier Transforms
This work presents a method of computing Voigt functions and their derivatives, to high accuracy, on a uniform grid. It is based on an adaptation of Fourier-transform based convolution. The relative…
Marcus H. MendenhallJul 3, 2006
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Naming Game on small-world networks: the role of clustering structure
Naming Game is a recently proposed model for describing how a multi-agent system can converge towards a consensus state in a self-organized way. In this paper, we investigate this model on the…
Bo-Yu Lin, Jie Ren, Hui-Jie Yang et al.Jun 30, 2006
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Bayesian Comparison of GARCH Processes with Skewnes Mechanism in Conditional Distributions
The main goal of this paper is an application of Bayesian model comparison, based on the posterior probabilities and posterior odds ratios, in testing the explanatory power of the set of competing…
Mateusz PipienJun 29, 2006
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Of Songs and Men: a Model for Multiple Choice with Herding
We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The model predicts a phase…
Christian Borghesi, Jean-Philippe BouchaudJun 26, 2006
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Probability and Statistical Inference
These lectures introduce key concepts in probability and statistical inference at a level suitable for graduate students in particle physics. Our goal is to paint as vivid a picture as possible of…
Harrison B. ProsperJun 20, 2006
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Comparison Tests of Variable-Stepsize Algorithms for Stochastic Ordinary Differential Equations of Finance
Since the introduction of the Black-Scholes model stochastic processes have played an increasingly important role in mathematical finance. In many cases prices, volatility and other quantities can be…
Yin Mei Wong, Joshua WilkieJun 11, 2006
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Relationship Between Structural Characters and Synchronizability of Scale-free Networks
Using Memory Tabu Search(MTS) algorithm, we investigate the relationship between structural characters and synchronizability of scale-free networks by maximizing and minimizing the ratio Q of the…
Jian-Guo Liu, Yan-Zhong Dang, Qiang Guo et al.Jun 9, 2006
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Crossover between Levy and Gaussian regimes in first passage processes
We propose a new approach to the problem of the first passage time. Our method is applicable not only to the Wiener process but also to the non--Gaussian L evy flights or to more…
Jun-ichi Inoue, Naoya SazukaJun 5, 2006
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Queueing theoretical analysis of foreign currency exchange rates
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward…
Jun-ichi Inoue, Naoya SazukaJun 5, 2006
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Correlation matrix decomposition of WIG20 intraday fluctuations
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time…
R. Rak, S. Drozdz, J. Kwapien et al.Jun 5, 2006
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Data production models for the CDF experiment
The data production for the CDF experiment is conducted on a large Linux PC farm designed to meet the needs of data collection at a maximum rate of 40 MByte/sec. We present two data production models…
J. Antos, M. Babik, D. Benjamin et al.Jun 5, 2006
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A Test for the Presence of a Signal
We describe a statistical hypothesis test for the presence of a signal based on the likelihood ratio statistic. We derive the test for a case of interest and also show that for that case the test…
Wolfgang A. Rolke, Angel M. LopezJun 1, 2006
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World University Rankings - A Principal Component Analysis
In order to establish which parameters and corresponding weights are more appropriate for the assessment of academic excellence in the context of university rankings, I have made a multivariate data…
Joao E. SteinerMay 30, 2006
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